Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0384
Annualized Std Dev 0.2245
Annualized Sharpe (Rf=0%) -0.1709

Row

Daily Return Statistics

Close
Observations 3585.0000
NAs 1.0000
Minimum -0.1034
Quartile 1 -0.0057
Median 0.0003
Arithmetic Mean -0.0001
Geometric Mean -0.0002
Quartile 3 0.0065
Maximum 0.1071
SE Mean 0.0002
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0141
Skewness -0.7402
Kurtosis 9.0011

Downside Risk

Close
Semi Deviation 0.0106
Gain Deviation 0.0095
Loss Deviation 0.0119
Downside Deviation (MAR=210%) 0.0152
Downside Deviation (Rf=0%) 0.0106
Downside Deviation (0%) 0.0106
Maximum Drawdown 0.7522
Historical VaR (95%) -0.0213
Historical ES (95%) -0.0363
Modified VaR (95%) -0.0236
Modified ES (95%) -0.0520
From Trough To Depth Length To Trough Recovery
2007-05-08 2009-03-09 NA -0.7522 3493 463 NA
2007-02-26 2007-03-05 2007-04-16 -0.1003 35 6 29
2007-01-03 2007-01-10 2007-01-22 -0.0280 13 6 7
2007-04-17 2007-05-01 2007-05-02 -0.0166 12 11 1
2007-01-25 2007-01-26 2007-02-01 -0.0121 6 2 4

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA NA NA 0.5 0.5
2007 1.1 -1.2 1.3 -0.3 0.3 -0.2 -1 1.4 0.5 -2.7 0.6 0.1 -0.2
2008 2 -3.3 4.5 0.7 0.2 -1 -0.3 0.3 0.9 2 -7.8 0.9 -1.4
2009 -1.2 1.4 1.2 0 1.8 1.6 2.1 -2.8 -2 -2.2 2.6 0.1 2.5
2010 1.6 0.9 1.9 -0.6 -1 1.3 0.1 2.7 1.6 0.4 2.7 0.7 13
2011 1.8 -1.6 0.9 0.5 -1.8 0.8 -0.5 -0.9 -3.4 -2 -1.8 0.3 -7.5
2012 1.6 1 1 0.3 -1.8 3 0.2 0.8 0.1 1.1 0.2 1.2 8.9
2013 0.4 0.7 -1.8 -0.3 -2.1 -0.5 1.2 0.1 0.7 -0.3 0 1.1 -0.9
2014 -1.1 0.5 0.2 0 0.3 0.6 -0.3 -0.3 -0.7 2.5 0 -0.8 1
2015 -1.8 -0.3 0.7 0.2 0.2 0.3 0.3 -2.6 0.2 -0.2 1.9 -1 -2.1
2016 0.7 2.4 -0.9 0 0.1 0 -0.6 0.9 1.1 -0.4 -1.3 0.8 3.1
2017 0.2 0.1 0.5 0 0.9 -0.2 0.3 -0.4 0.7 -0.4 0 -0.1 1.6
2018 -1.2 -0.3 0.9 -0.2 0 0.7 -0.6 -0.2 -0.3 1.5 -1.1 0 -0.7
2019 -0.1 0.2 0.3 -0.3 0 0.3 -0.1 0.4 -0.7 0.4 -0.3 0.3 0.6
2020 -0.4 -2.1 -3.6 -2 1.9 1.6 -0.7 -0.2 1.1 -0.2 2.1 -0.6 -3.3
2021 0 1.3 0.4 NA NA NA NA NA NA NA NA NA 1.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2006-12-19  60.6 SPY    142.  1.90e-3   0.0035  0.0128    0.0733    0.131    0.296    0.237 GLD    61.8  0.0125   -0.0115
2 2006-12-20  60.8 SPY    142. -6.00e-4   0.0019  0.0117    0.0779    0.130    0.305    0.228 GLD    61.6 -0.00290  -0.0138
3 2006-12-21  60.8 SPY    142. -3.70e-3  -0.0105  0.007     0.0772    0.124    0.291    0.235 GLD    61.4 -0.0039   -0.0119
4 2006-12-22  61.4 SPY    141. -6.10e-3  -0.0112 -0.00120   0.0624    0.111    0.283    0.224 GLD    61.6  0.0044    0.0107
5 2006-12-26  61.6 SPY    142.  5.90e-3  -0.0026  0.0088    0.0599    0.117    0.292    0.234 GLD    62.0  0.0054    0.0154
6 2006-12-27  62.0 SPY    143.  6.60e-3   0.002   0.0295    0.0656    0.136    0.299    0.235 GLD    62.2  0.0039    0.0068
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart